Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0345
Annualized Std Dev 0.3701
Annualized Sharpe (Rf=0%) -0.0932

Row

Daily Return Statistics

Close
Observations 3288.0000
NAs 1.0000
Minimum -0.2235
Quartile 1 -0.0113
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean -0.0001
Quartile 3 0.0122
Maximum 0.1966
SE Mean 0.0004
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0009
Variance 0.0005
Stdev 0.0233
Skewness -0.3976
Kurtosis 10.2527

Downside Risk

Close
Semi Deviation 0.0169
Gain Deviation 0.0159
Loss Deviation 0.0177
Downside Deviation (MAR=210%) 0.0214
Downside Deviation (Rf=0%) 0.0169
Downside Deviation (0%) 0.0169
Maximum Drawdown 0.8659
Historical VaR (95%) -0.0355
Historical ES (95%) -0.0550
Modified VaR (95%) -0.0359
Modified ES (95%) -0.0669
From Trough To Depth Length To Trough Recovery
2008-07-03 2020-03-24 NA -0.8659 3201 2951 NA
2008-03-13 2008-03-17 2008-04-02 -0.0795 14 3 11
2008-05-22 2008-06-04 2008-06-06 -0.0643 11 9 2
2008-06-09 2008-06-10 2008-07-02 -0.0567 18 2 16
2008-04-28 2008-05-01 2008-05-05 -0.0562 6 4 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA -0.4 0.7 -2.1 0.6 0 0.8 0 -4 4.1 -3.8 8.8 4.2
2009 1.4 -1.3 -2.4 3.6 1.8 -2.4 3.1 -1.5 0.5 -3.4 1.1 0.2 0.3
2010 1.7 -1.4 1.8 1.4 -2.3 -3.1 1.1 1.7 3 1.1 4.5 2.3 12.1
2011 0.7 3.6 1.7 1 -1.9 0.4 0.1 0.6 -1.5 0.1 0.1 -0.5 4.6
2012 -0.4 2.8 -0.5 -0.6 -2.4 6.1 2.2 2.1 0.1 0.3 0.2 0.2 10.5
2013 0.5 1.1 -0.6 -2.4 -2.1 1.2 0.9 -0.6 -0.6 -1.5 -0.8 0 -4.9
2014 -1.6 0.6 -1.8 -1 -0.7 -0.3 -1.7 1.1 0.1 -0.2 1.6 1.5 -2.7
2015 4.7 3 3.2 0 -0.5 -1.7 0.1 -6.2 0.2 2 3.1 1.5 9.3
2016 -4.6 -1.2 -2.6 -0.2 1.4 1.3 -0.4 -4.5 0.8 4.5 4.5 -0.3 -1.6
2017 1.9 -3.4 1 -1 0.1 2.6 -0.7 -1.3 -2.3 0.8 0.2 -0.5 -2.6
2018 0.3 -1.5 0 -1.8 -1.1 1.8 -1.8 -0.6 2.1 -1.6 -1.8 1.4 -4.7
2019 3.1 -1.4 1.2 -0.3 -5 2.2 -4.7 -3.1 0.3 3.7 -4.5 -1.9 -10.3
2020 -1.9 -1.5 -5.2 -0.9 0.2 0.8 -1.5 0.5 -2 0.1 -1.5 1 -11.6
2021 2.3 -0.5 1.2 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-02-27  49.3 SPY    138. -0.001     0.0169   0.022   -0.0194  -0.0092   0.150     0.636 GLD    94.8  0.0114   0.0165
2 2008-02-28  49.8 SPY    137. -0.0098    0.0154   0.0071  -0.04    -0.0288   0.127     0.644 GLD    96.0  0.0128   0.0294
3 2008-02-29  49.6 SPY    134. -0.0223   -0.0133  -0.0081  -0.0905  -0.0476   0.109     0.587 GLD    96.2  0.002    0.0299
4 2008-03-03  49.8 SPY    134. -0.00240  -0.0279  -0.0282  -0.0929  -0.0373   0.101     0.572 GLD    97.2  0.011    0.0485
5 2008-03-04  47.4 SPY    133. -0.0038   -0.0388  -0.0472  -0.105   -0.0317   0.0975    0.582 GLD    95.2 -0.0212   0.0157
6 2008-03-05  49.0 SPY    134.  0.0063   -0.0318  -0.029   -0.0938  -0.042    0.104     0.617 GLD    97.7  0.0267   0.031 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart